Sergio Ortobelli Lozza

University of Bergamo — Italy

Decision Sciences · Social Sciences

19h-index1.5kcitations154works1.72yr avg
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Research Topics

Risk and Portfolio Optimization(72), Financial Markets and Investment Strategies(68), Stochastic processes and financial applications(61), Financial Risk and Volatility Modeling(47), Economic theories and models(21)

Publications154 total

Computing agents' reputation within a network
Games and Economic Behavior·2025Open Access
The Foundations of Xorium Theory
SSRN Electronic Journal·2025Open Access
Dynamic Return Scenario Generation Approach for Large-Scale Portfolio Optimisation Framework
Computational Economics·2024· 5 citedOpen Access
Modelling De novo programming within Simon’s satisficing theory: Methods and application in designing an optimal offshore wind farm location system
European Journal of Operational Research·2023· 4 cited
Mean–variance vs trend–risk portfolio selection
Review of Managerial Science·2023· 4 cited
XOR-analytic network process and assessing the impact of COVID-19 by sector
Computers & Industrial Engineering·2023· 6 citedOpen Access
The Effects of ETF Ownership on the Risk of Underlying Stocks: Evidence from International Markets
SSRN Electronic Journal·2023Open Access
Preface
Asia Pacific Journal of Operational Research·2022
Portfolio optimization with asset preselection using data envelopment analysis
Central European Journal of Operations Research·2022· 20 citedOpen Access
Portfolio Selection Using Multivariate Semiparametric Estimators and a Copula PCA-Based Approach
Computational Economics·2021· 2 cited
Second order of stochastic dominance efficiency vs mean variance efficiency
European Journal of Operational Research·2020· 15 cited
Multivariate stochastic dominance: A parametric approach
Economics bulletin·2020· 2 cited
Multivariate stochastic dominance applied to sector-based portfolio selection
IMA Journal of Management Mathematics·2020· 7 cited
Joint tails impact in stochastic volatility portfolio selection models
Annals of Operations Research·2020
Theoretical and practical motivations for the use of the moving average rule in the stock market
IMA Journal of Management Mathematics·2019· 14 cited
Timing portfolio strategies with exponential Lévy processes
Computational Management Science·2018· 4 cited
On the use of conditional expectation in portfolio selection problems
Annals of Operations Research·2018· 16 cited
Diversification versus optimality: is there really a diversification puzzle?
Applied Economics·2018· 21 cited
Price and market risk reduction for bond portfolio selection in BRICS markets
Investment Management and Financial Innovations·2018· 2 citedOpen Access
Portfolio Theory and conditional Expectations: selected models and applications
Aisberg (University of Bergamo)·2018
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Frequent Co-authors

Svetlozar T. Rachev(15), Frank J. Fabozzi(12), Almira Biglova(9), Tomáš Tichý(8), Stoyan V. Stoyanov(7), Rosella Giacometti(7), Svetlozar T. Rachev(5), Noureddine Kouaissah(5), Tommaso Lando(4), Isabella Huber(3), Eduardo S. Schwartz(3), Enrico Angelelli(3), Haim Shalit(3), Maria Bertocchi(3), Filomena Petronio(3), Vittorio Moriggia(2), Fabio Lamantia(2), Sasan Barak(1), Azadeh Arjmand(1), Gennady Samorodnitsky(1)